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A simulation-based method for estimating systemic risk measures
Ye, Wuyi; Zhou, Yi; Chen, Pengzhan; Wu, Bin - In: European journal of operational research : EJOR 313 (2024) 1, pp. 312-324
Persistent link: https://www.econbiz.de/10014456563
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Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
Rockafellar, Ralph Tyrrell; Royst, Johannes O.; … - In: European journal of operational research : EJOR 234 (2014) 1, pp. 140-154
Persistent link: https://www.econbiz.de/10010247347
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Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
Liu, Xiaoyu; Yan, Xing; Zhang, Kun - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1168-1177
Persistent link: https://www.econbiz.de/10014456483
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Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
He, Zhijian - In: European journal of operational research : EJOR 298 (2022) 1, pp. 229-242
Persistent link: https://www.econbiz.de/10013206837
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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Accuracy of mortgage portfolio risk forecasts during financial crises
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 249 (2016) 2, pp. 440-456
Persistent link: https://www.econbiz.de/10011436707
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Risk tomography
Prékopa, András; Lee, Jinwook - In: European journal of operational research : EJOR 265 (2018) 1, pp. 149-168
Persistent link: https://www.econbiz.de/10011805383
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Distortion risk measure under parametric ambiguity
Shao, Hui; Zhang, Zhe George - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1159-1172
Persistent link: https://www.econbiz.de/10014440209
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Reducing estimation risk using a Bayesian posterior distribution approach : application to stress testing mortgage loan default
Wang, Zheqi; Crook, Jonathan N.; Andreeva, Galina - In: European journal of operational research : EJOR 287 (2020) 2, pp. 725-738
Persistent link: https://www.econbiz.de/10012293945
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Newsvendor conditional value-at-risk minimisation : a feature-based approach under adaptive data selection
Liu, Congzheng; Zhu, Wenqi - In: European journal of operational research : EJOR 313 (2024) 2, pp. 548-564
Persistent link: https://www.econbiz.de/10014456596